Econometrics for Financial Markets ( VWL-AEM-EcFin / VWLaemEcoFM-02a) (VWL-AEM-EcFin / VWLaemEcoFM-02a) (030027)- Dozent/in
- Prof. Dr. Markus Haas
- Angaben
- Vorlesung mit Übung, 2 SWS
Unterrichtssprache Englisch
Zeit und Ort: Di 12:15 - 13:45, HRS7 - R.3[C3-KLEIN]
vom 11.4.2023 bis zum 4.7.2023
1. Prüfungstermin (Klausur am Ende der Vorlesungszeit eines Semesters): 21.7.2023, 12:00 - 14:00 Uhr, Raum CAP3 - Hörsaal 2
2. Prüfungstermin (Klausur zu Beginn der Vorlesungszeit des Folgesemesters): 20.10.2023, 12:00 - 14:00 Uhr, Raum CAP3 - Hörsaal 2
Bemerkung zu Zeit und Ort: Weitere Informationen siehe OLAT.
- Voraussetzungen / Organisatorisches
- Module Code: VWL-AEM-StatFin / VWLaemEcoFM-02a
Module Number: 3901800 / 3901801
Exam Number: 43145
Exam type according to FPO: Module Exam (Modulprüfung)
Specific exam type in summer term 2023: presence exam
Further information:: Given in OLAT
The number of ECTS Credits as well as the admission to the examination for this module is determined by the information regarding this module in the FPO (Examination Regulations) of your program (possibly only in the Appendix of the German version). If this module is not explicitly listed in your FPO, please check at the beginning of the semester about admission options. Typically, admission to the examination of this module is not possible in this case. An overview for all programs which can choose modules of the Institute of Economics can also be found here: Nebenfach Volkswirtschaftslehre Handbuch für Exportmodule (Minor in Economics - Handbook of Export Modules). You can also check in advance in QIS whether you can find this module listed there in the overview for exam registration, with the exam number mentioned in univis. Registration to the exam is only possible during the registration period. If you still have questions after reviewing these documents, please contact your student advisor (Studienfachberater).
Bitte beachten:
Die Klausur am xx [1. PZ] wird in der Zeit von xxx Uhr bis xxx Uhr geschrieben!
Die Klausur am xx [2. PZ] wird in der Zeit von xxx Uhr bis xxx Uhr geschrieben!
Remember:
The exam will be written on xxx, in the time period of xx p.m. to xx p.m.
Weitere Informationen zur Veranstaltung finden Sie in OLAT / Further information can be found in OLAT:
https://lms.uni-kiel.de/url/RepositoryEntry/189169689
- Inhalt
- This course offers the possibility for the students to become familiar with special econometric techniques required to work with financial market data. Main topics include a thorough analysis and discussion of approaches for modeling conditional volatilities and correlations of financial assets. Applications to risk management and portfolio optimization are considered, among others.
1. Introduction
2. The stable hypothesis
3. Time series concepts
4. Univariate volatility modelling and forecasting
- GARCH
- stochastic volatility
- dynamic score models
- realized volatility
- evaluating volatility forecasts
5. Multivariate volatility models
- Empfohlene Literatur
- Alexander, C. (2008). Practical Financial Econometrics. Wiley, Chichester.
- Harvey, A. C. (2013). Dynamic Models for Volatility and Heavy Tails. Cambridge University Press, Cambridge.
- Linton, O. (2019). Financial Econometrics: Models and Methods. Cambridge University Press, Cambridge.
- Taylor, S. (2005): Asset Price Dynamics, Volatility, and Prediction. Princeton University Press, Princeton.
- Paolella, M. S. (2007). Intermediate Probability: A Computational Approach. Wiley, Chichester.
- Paolella, M. S. (2018). Fundamental Statistical Inference: A Computational Approach. Wiley, Chichester.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 50
www: https://lms.uni-kiel.de/url/RepositoryEntry/189169689/CourseNode/84990651573854
- Zugeordnete Lehrveranstaltungen
- UE: Übung zu "Econometrics for Financial Markets" (030028)
-
Dozent/in: Prof. Dr. Markus Haas
Zeit und Ort: jede 2. Woche Mi 8:15 - 9:45, WSP1 - R.401; Bemerkung zu Zeit und Ort: Weitere Informationen siehe OLAT.
www: https://lms.uni-kiel.de/url/RepositoryEntry/189169689/CourseNode/84990651573854
Econometrics II / Time Series Econometrics (VWL-EcoII / VWLaemTSEco-02a) (030049)- Dozent/in
- Prof. Dr. Markus Haas
- Angaben
- Vorlesung, 2 SWS, benoteter Schein
Zeit und Ort: Di 8:15 - 9:45, LMS6 - R.10 Steinitz-Hörsaal
vom 11.4.2023 bis zum 4.7.2023
1. Prüfungstermin (Klausur am Ende der Vorlesungszeit eines Semesters): 11.7.2023, 8:00 - 10:00 Uhr, Raum CAP3 - Hörsaal 2; 11.7.2023, 8:00 - 10:00 Uhr, Raum CAP3 - Hörsaal 3
2. Prüfungstermin (Klausur zu Beginn der Vorlesungszeit des Folgesemesters): 13.10.2023, 10:00 - 12:00 Uhr, Raum CAP3 - Hörsaal 3
- Voraussetzungen / Organisatorisches
- Module Code: VWL-EcoII / VWLaemTSEco-02a
Module Number: 3020200 / 3020201
Exam Number: 3020210 / 3020220
Exam type according to FPO: Written exam
Further information: Given in OLAT
The number of ECTS Credits as well as the admission to the examination for this module is determined by the information regarding this module in the FPO (Examination Regulations) of your program (possibly only in the Appendix of the German version). If this module is not explicitly listed in your FPO, please check at the beginning of the semester about admission options. Typically, admission to the examination of this module is not possible in this case. An overview for all programs which can choose modules of the Institute of Economics can also be found here: Nebenfach Volkswirtschaftslehre Handbuch für Exportmodule (Minor in Economics - Handbook of Export Modules). You can also check in advance in QIS whether you can find this module listed there in the overview for exam registration, with the exam number mentioned in univis. Registration to the exam is only possible during the registration period. If you still have questions after reviewing these documents, please contact your student advisor (Studienfachberater).
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 100
www: https://lms.uni-kiel.de/dmz/
- Zugeordnete Lehrveranstaltungen
- UE: PC-Tutorial: Econometrics II / Time Series Econometrics
-
Dozent/in: Le Nga Tran, M.Sc.
- UE: Tutorial: Econometrics II / Time Series Econometrics
-
Dozent/in: Dr. Anna Titova
Seminar in Empirical Finance: "Empirical Finance and Financial Econometrics" (VWLfeEmpFinSem-01a / VWLfeEmFiSem-02a) (030162)- Dozent/in
- Prof. Dr. Markus Haas
- Angaben
- Seminar, 2 SWS, benoteter Schein
Unterrichtssprache Englisch
Zeit und Ort: Einzeltermine am 15.6.2023, 16.6.2023 8:30 - 15:45, OS75/S2 - R.210
- Voraussetzungen / Organisatorisches
- Module Code: VWL-FinEc-Sem / VWLfeEmFiSem-02a
Module Number: 3100000 / 3100001
Exam Number: 3100010
Exam type according to FPO: Seminar contribution (Seminarbeitrag)
Specific exam type in summer term 2022:
Alle Informationen zum Seminar finden Sie in OLAT:
https://lms.uni-kiel.de/url/RepositoryEntry/855900169
WICHTIG: Zusätzlich ist während der Anmeldephase zum ersten Prüfungszeitraum
eine Anmeldung im QIS erforderlich!!
(29.05.2023 - 25.06.2023)
Nur dann kann Ihre Note am Ende des Semesters erfasst werden!
All participants need to register for the seminar in QIS between
May 29th, 2023 and June 25th, 2023,
e.i. during the first exam registration
period. Non registration will not help in avoiding bad grades!
https://www.studium.uni-kiel.de/en/examinations/timetables/terminplan-prufungszeitraume-sose-2023-engl
The number of ECTS Credits as well as the admission to the examination for this module is determined by the information regarding this module in the FPO (Examination Regulations) of your program (possibly only in the Appendix of the German version). If this module is not explicitly listed in your FPO, please check at the beginning of the semester about admission options. Typically, admission to the examination of this module is not possible in this case. An overview for all programs which can choose modules of the Institute of Economics can also be found here: Nebenfach Volkswirtschaftslehre Handbuch für Exportmodule (Minor in Economics - Handbook of Export Modules). You can also check in advance in QIS whether you can find this module listed there in the overview for exam registration, with the exam number mentioned in univis. Registration to the exam is only possible during the registration period. If you still have questions after reviewing these documents, please contact your student advisor (Studienfachberater).
The registration for seminars of the Institute of Economics takes place in the previous semester via the Olat course "Seminar Registration MA-VWL" . Before the start of the seminar you either take part in the Seminar Preparation Course (4 hours, offered by the ZBW) or in the Module "Research and Scientific Writing" (VWLswScWr-02a). This prepares you for scientific work in economics and is therefore a prerequisite for a successful participation in the seminar.
Hausarbeit und Vortrag: Seminar in Theory of Financial Economics:
https://www.studium.uni-kiel.de/de/pruefungen/terminplaene/pruefungszeitraeume-sommersemester-2022
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 20
www: https://lms.uni-kiel.de/url/RepositoryEntry/855900169
Statistisch-Ökonometrisches Doktorandenkolloquium am QBER (DrKollStatÖ-MH) (030150)- Dozent/in
- Prof. Dr. Markus Haas
- Angaben
- Kolloquium, 2 SWS
Zeit und Ort: n.V.
- Voraussetzungen / Organisatorisches
- Das Doktorandenkolloquium wird in Form einer Blockveranstaltung angeboten.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 10
Übung zu "Econometrics for Financial Markets" (030028)- Dozent/in
- Prof. Dr. Markus Haas
- Angaben
- Übung, 1 SWS
Zeit und Ort: jede 2. Woche Mi 8:15 - 9:45, WSP1 - R.401
vom 26.4.2023 bis zum 19.7.2024
Bemerkung zu Zeit und Ort: Weitere Informationen siehe OLAT.
- Voraussetzungen / Organisatorisches
- Ab sofort ist eine Anmeldung zu diesem Übungstermin in OLAT möglich:
https://lms.uni-kiel.de/url/RepositoryEntry/189169689/CourseNode/91609255352429
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 25
www: https://lms.uni-kiel.de/url/RepositoryEntry/189169689/CourseNode/84990651573854
- Zugeordnet zu: Econometrics for Financial Markets ( VWL-AEM-EcFin / VWLaemEcoFM-02a) (030027)
|
|
